It's the limit adjuster we're using that's causing the crash. It probably needs adjustments for Windows 10. Here's what worked for me:
Delete the broken limit adjuster. It's these files in the GTA:SA folder:
d3d9.dll
salimits.ini
saloader.ini
saweapons.txt
Download fastman92's limit adjuster and extract the contents of the 32-bit folder into the game's folder: http://gtaforums.com/topic/733982-fastman92-limit-adjuster/
Open fastman92limitAdjuster_GTASA.ini and add the following line into the dynamic limits section: ColModels = 18000
If you now start the game it shouldn't crash halfway through the loading bar.
If it still does, check the GTA:SA folder for a file fastman92limitAdjuster.log. If it's not there, try these:
Check if users have write permission on the GTA:SA folder (right click, properties, security):
Make sure you have Microsoft Visual C++ 2010 Redistributable (x86) installed. If unsure, just install again: http://www.microsoft.com/en-us/download/details.aspx?id=5555